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yogabonito/VECM_example.ipynb

Last active October 4, 2024 04:06
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VECM example
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VECM_example.ipynb
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@RangerShaw
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Very helpful. Thx!
I have a problem about forecast error variance decomposition (FEVD) that I didn't find relevant functions in statsmodels.tsa.vector_ar.vecm. Is FEVD not supported yet?

@yogabonito
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Hi @RangerShaw,
I think the best way to ask is to open a new issue in the statsmodels repository. As I stopped working on statsmodels almost six years ago, I am not sure what features were added since then.

@Jackie00765
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Deeply thank you for your demostrartion ~~~

@AdKowal
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AdKowal commented Dec 16, 2023

Thanks for useful example

@wang8586
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Awesome and thanks for you sharing! I have a question, the function select_order is to find the best lags of VAR model based on information criteria. But the k_ar_diff in function select_coint_rank is the lagged difference (VECM function as well). Should they be subtracted one from the result of select_order? (means k_ar_diff =2 in select_coint_rank and VECM, but not 3 which is the best order in the result of select_order)

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